Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0618
Annualized Std Dev 0.3143
Annualized Sharpe (Rf=0%) -0.1965

Row

Daily Return Statistics

Close
Observations 4086.0000
NAs 1.0000
Minimum -0.1908
Quartile 1 -0.0079
Median 0.0004
Arithmetic Mean -0.0001
Geometric Mean -0.0003
Quartile 3 0.0084
Maximum 0.2555
SE Mean 0.0003
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0198
Skewness -0.2165
Kurtosis 19.0805

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0146
Loss Deviation 0.0164
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0145
Downside Deviation (0%) 0.0145
Maximum Drawdown 0.8771
Historical VaR (95%) -0.0280
Historical ES (95%) -0.0482
Modified VaR (95%) -0.0262
Modified ES (95%) -0.0262
From Trough To Depth Length To Trough Recovery
2008-07-02 2020-03-18 NA -0.8771 3202 2948 NA
2007-07-18 2007-08-16 2008-04-16 -0.2056 189 22 167
2005-03-07 2005-05-16 2005-07-29 -0.1341 102 50 52
2006-05-11 2006-09-25 2007-03-22 -0.1308 217 95 122
2005-10-04 2005-10-20 2006-05-10 -0.1237 151 13 138

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA NA 0.1 0.1
2005 -0.2 -0.2 2.7 0.1 0.5 1.1 0.7 1.1 1 -0.4 1.8 2 10.5
2006 -0.8 0.5 -0.3 0.8 1.4 0 0.1 0.9 -0.3 -1.4 0.2 -0.4 0.6
2007 0.8 -0.5 -0.7 -0.5 1.3 1.1 -1 1.9 1.2 -1.7 1 1.1 3.8
2008 0.7 -2.5 0.8 -2.4 0.5 0.2 -0.9 -0.5 -4.1 3.8 -10.9 1.5 -13.6
2009 -1.7 -0.5 2.4 5.4 2.1 2.8 0 -2.3 -4.3 -4.8 1.3 0.2 0.1
2010 2.4 1.2 1.6 -1.5 -3.6 -3.2 -0.7 2.6 1.7 0.2 1.3 0.8 2.5
2011 1.4 -1.1 1.3 1.6 -2.1 0.2 0.9 -1.5 -3.3 -1.9 -0.3 0.8 -4
2012 0.7 0.8 1.9 1 -2.5 3.5 0 0.6 -0.5 1.5 0.5 2.5 10.2
2013 0.8 -0.2 -0.3 -1.4 -1.7 1.5 1.7 -0.3 1.3 -0.4 0 1 2
2014 -0.8 0.5 0 0.3 0 0.4 -0.5 0.3 -1.3 1.8 -1.8 -1.7 -2.7
2015 -1.4 -0.1 -0.2 -0.6 -0.1 -0.9 -0.6 -3.7 1.6 0.8 0.7 1.6 -3
2016 -2.5 2.8 -1.7 -0.6 0.3 0.7 -1.7 0 1.4 -0.9 0.4 -0.1 -1.9
2017 -0.3 1.3 -0.1 0.1 0.4 0.2 0.1 1.7 0.1 1.5 0.7 0.3 6.1
2018 0.5 -0.5 1.7 -1 0.9 0.9 -1.2 -0.7 0.6 2.1 -0.5 -1.4 1.4
2019 0.9 1.1 0.5 -0.7 -0.8 -0.8 -2.1 -0.4 -1.2 2 -0.6 0.6 -1.7
2020 -4.6 0.3 -1.4 -5 2.2 -2.6 -0.3 -1 -2.8 0.2 0.6 0.3 -13.6
2021 1.4 3 0.5 NA NA NA NA NA NA NA NA NA 4.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2004-12-23  25   SPY    121.  0.0007 -3.00e-4   0.0221   0.0835   0.101    0.0506   -0.154 GLD    44.3  0.0057   0.0135
2 2004-12-27  25.0 SPY    121. -0.0021  9.00e-3   0.0176   0.0882   0.0994   0.0505   -0.149 GLD    44.5  0.0047   0.0066
3 2004-12-28  25.0 SPY    121.  0.0055  1.43e-2   0.0239   0.089    0.105    0.0505   -0.157 GLD    44.4 -0.0025   0.0007
4 2004-12-29  25.0 SPY    121.  0.0015  8.10e-3   0.0301   0.0851   0.0918   0.0457   -0.158 GLD    43.7 -0.016   -0.0127
5 2004-12-30  25.0 SPY    121. -0.0019  3.70e-3   0.0275   0.0838   0.0895   0.0442   -0.173 GLD    43.8  0.0039  -0.0043
6 2004-12-31  25.0 SPY    121. -0.0021  8.00e-4   0.0138   0.0635   0.0862   0.0575   -0.174 GLD    43.8 -0.0007  -0.0106
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart